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Option implied riskiness and risk-taking incentives of executive compensation
Lu, Chia-Chi; Shen, Hsin-han; Shih, Pai-Ta; Tsai, Wei‐Che - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1143-1160
Persistent link: https://www.econbiz.de/10014291781
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Derivatives and Default Risk
Scholz, Sebastian - 2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …
Persistent link: https://www.econbiz.de/10010427577
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Derivatives and default risk
Scholz, Sebastian - 2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …
Persistent link: https://www.econbiz.de/10003951795
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The value of tail risk hedging in defined contribution plans : what does history tell us
Basu, Anup K.; Drew, Michael E. - In: Journal of pension economics and finance 14 (2015) 3, pp. 240-265
Persistent link: https://www.econbiz.de/10011338273
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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
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The impact of uncertainty in the oil and gold market on the cross-section of stock returns
Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015
Persistent link: https://www.econbiz.de/10011547101
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Divergence and the price of uncertainty
Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015
Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...
Persistent link: https://www.econbiz.de/10011507861
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011563457
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On the shape of risk aversion and asset allocation
Six, Pierre - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010498792
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The 2019 government shutdown increased uncertainty in major agricultural commodity markets
Goyal, Raghav; Adjemian, Michael K. - In: Food policy : economics planning and politics of food … 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012817189